Sökning: "Christian Vogl"

Hittade 2 uppsatser innehållade orden Christian Vogl.

1. 1. An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Christian Vogl; [2016]
   Nyckelord :GARJI; Autoregressive Conditional Jump Intensity; Leptokurtic GARCH models; VaR; Backtesting; Business and Economics;

   Sammanfattning : Abstract Recent financial crises have demonstrated the importance of accurately measuring financial risks in order to be able to employ mitigating risk policies. This essay investigates the question whether a GARCH model augmented by an autoregressive conditional jump intensity component can improve value-at-risk forecasts in comparison to common GARCH models. LÄS MER

3. 2. Systemic risk measurement in the Eurozone - A multivariate GARCH estimation of CoVaR

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Christian Vogl; [2015]
   Nyckelord :DCC model; Multivariate GARCH; CoVaR; Systemic risk; Business and Economics;

   Sammanfattning : In this essay the systemic risk contributions of financial institutions in the European Monetary Union are analyzed. For this purpose the CoVaR measure, first introduced by Adrian and Brunnermeier (2011), is applied. LÄS MER